statsmodels.distributions.copula.api.ExtremeValueCopula.fit_corr_param¶

ExtremeValueCopula.fit_corr_param(data)[source]¶

Copula correlation parameter using Kendall’s tau of sample data.

Parameters:¶

dataarray_like

Sample data used to fit theta using Kendall’s tau.

Returns:¶

corr_paramfloat

Correlation parameter of the copula, theta in Archimedean and pearson correlation in elliptical. If k_dim > 2, then average tau is used.